Crises and Uncertainty in the Economy

Preface
Contents
Part I Economic Dynamics in Time of Crisis
	1 Covid-19: What Determines Policy Responses Across Europe?
		1.1 Introduction: Policy Determinants and Interactions in Pandeconomies
		1.2 The Covid-19 Policy Context, Data and Methodology
			1.2.1 The Covid-19 Policy Context
			1.2.2 Data
			1.2.3 Model Specifications and Summary Statistics
		1.3 Results
			1.3.1 Base Model
			1.3.2 Public Policy Interactions
			1.3.3 Public-Private Policy Interactions
		1.4 Discussion
		References
	2 Financial Integration and Labor Mobility in a Monetary Union
		2.1 Introduction
		2.2 Model
			2.2.1 Consumption
			2.2.2 Workers
			2.2.3 Labor Market
			2.2.4 Bankers
			2.2.5 Credit Market
			2.2.6 Entrepreneurs
		2.3 Calibration
		2.4 Simulation
			2.4.1 Transitory Shocks on Mobility Costs
			2.4.2 Permanent Shocks on Mobility Costs
		2.5 Case of European Monetary Union
			2.5.1 Calibration
			2.5.2 Simulation: Scenario After 2008 Financial Crisis
		2.6 Conclusion
		Appendix 1: Discrete Choice Theory
			Workers and Bankers
			Inflow and Outflow
		Appendix 2: IRFs
			Stochastic Shock on Capital Mobility Cost ηb
			Stochastic Shock on Labor Mobility Cost η
		References
	3 Macroeconomic-Financial Policies and Climate Change Nexus: Theory & Practices
		3.1 Introduction
		3.2 Climate Change
		3.3 Macroeconomic and Financial Policies
		3.4 Macroeconomic-Financial Policies and Climate Change
			3.4.1 Underpinnings
			3.4.2 Some Basic Facts and Empirical Evidence
		3.5 Critical Reflections
		3.6 Conclusions
		References
	4 Exchange Market Volatility Spillover in Time of Crisis: Evidence from a Smooth Transition Regression Application
		4.1 Introduction
		4.2 Data
		4.3 Methodology
			4.3.1 Assessment of Currency Volatility and Financial Crises
			4.3.2 Regional Contagion Modelling
		4.4 Empirical Results
			4.4.1 Currency Volatility and Financial Crises Relationships
			4.4.2 Regional Contagion Effect
		4.5 Conclusion
		References
	5 Bank Lending Procyclicality and Digital Technologies; Does the Structure of the Financial Sector Matter?
		5.1 Introduction
		5.2 Literature Review
		5.3 Model Description
			5.3.1 Results of the Model
		5.4 Impact of COVID-19 on Bank Lending
		5.5 Conclusions
		References
	6 What Role for Macroeconomic Environment on Living Standards in Times of Crisis and Uncertainty
		6.1 Introduction
		6.2 Poverty Causes and Measurement
		6.3 Empirical Studies of Country-Level Factors Determining Material Deprivation in the EU
		6.4 Data and Model Specification
		6.5 Empirical Results
		6.6 Conclusion and Policy Recommendations
		Appendix
		References
Part II Financial Markets Behavior Under COVID-19 Crisis
	7 What Can We Learn from Statistical Regularities in Stock Returns? Insights from An Entropy-Constrained Framework
		7.1 Introduction
		7.2 Data Collection and Analysis
		7.3 The Quantal Response Statistical Equilibrium Model
			7.3.1 The Behavioral Constraint
			7.3.2 The Feedback Constraint
			7.3.3 The Role of Expectations
		7.4 Model Inference and Results
		7.5 Conclusions
		Appendix 1
		The Maximum Entropy Principle
			The Derivation of Investor's Behavior
		Appendix 2
		Model Derivation and Inference
		References
	8 Has COVID-19 Pandemic Fear Affected Eurozone StockMarkets?
		8.1 Introduction
		8.2 Theoretical Background
		8.3 Related Literature
		8.4 Data and Methodology
		8.5 Analysis and Discussion of Results
		8.6 Conclusions
		References
	9 Financial Performance During the COVID-19 Crisis: The Role of Investment and Revenue
		9.1 Introduction
		9.2 Literature Review and Hypotheses Development
			9.2.1 The Role of Investment
			9.2.2 The Role of Sales Revenue
			9.2.3 Industrial Impact
		9.3 Impact of COVID-19 on the Performance of Tunisian Listed Firms
			9.3.1 Methodology
			9.3.2 Empirical Results
		9.4 Conclusion
		References
	10 U.S Stock Market and Cryptocurrencies During the COVID-19 Pandemic Outbreak
		10.1 Introduction
		10.2 Data and Their Proprieties
		10.3 Empirical Methodology
			10.3.1 DCC Model
			10.3.2 Hedging Analysis
		10.4 Empirical Results
			10.4.1 Regression Results and Forecasting Dynamic Conditional Correlation Analysis
			10.4.2 Hedging Analysis
				10.4.2.1 Optimal Hedge Ratios
				10.4.2.2 Hedge Performance
		10.5 Conclusion
		References
	11 Management and Resolution Methods of Non-performing Loans: A Review of the Literature
		11.1 Introduction
		11.2 The Impact of NPLs on Banks' Growth
		11.3 Management of Non-performing Loans
			11.3.1 Ex-ante NPL Management
				11.3.1.1 Regulatory Forbearance and Bank Resolution
			11.3.2 Ex-post NPL Management
			11.3.3 Ex-ante and Ex-post NPL Measures: The Euro Area Case
		11.4 NPL Resolution Methods
		11.5 Structural Barriers to NPL Resolution in European Union
		11.6 Conclusions and Policy Implications
		References
	12 How Accurate Are Risk Models During COVID-19 Pandemic Period?
		12.1 Introduction
		12.2 Related Literature
		12.3 Methodologies
			12.3.1 Specifying Volatility
			12.3.2 VaR with the Filtered Historical Simulation Approach
			12.3.3 VaR with the Cornish-Fisher Approximation
			12.3.4 VaR with the Standardized T-Distribution
			12.3.5 VaR with the Extreme Value Theory
		12.4 Empirical Results
			12.4.1 Descriptive Statistics
			12.4.2 The Performance of the VaR's Models
		12.5 Conclusion
		References
	13 What Does Matter the Climate Change Risk on Agriculture Adaptation: Evidence From Southern Mediterranean Country
		13.1 Introduction
		13.2 Related Literature
		13.3 Empirical Methodology
			13.3.1 Testing for Panel Stationarity and Cointegration
			13.3.2 Estimation Method: Fully Modified OLS Versus Dynamic OLS
			13.3.3 Extrapolation of Yield Losses Based on Climate Change Scenarios
		13.4 Empirical Results
			13.4.1 Data
			13.4.2 Results
				13.4.2.1 Panel Unit Root Tests
				13.4.2.2 Cointegration Test
				13.4.2.3 Estimation
				13.4.2.4 Extrapolations and Forecasts
				13.4.2.5 Insurance as Way to Adapt to Climate Change
		13.5 Conclusion
		References